Real Time Data explained

London Stock Exchange Group’s high performance market data system provides real time tick-by -tick data essential for anyone trading on our markets.

The depth and breadth of the data provided reflects our highly liquid and rapidly growing markets and is disseminated to more than 220,000* screens in over 100 countries. (*As of April 2013).

Real Time Data is available through a number of separate services tailored to the specific needs of individual customers. These services provide information that is essential for trading in UK, Italian and international securities.

London Stock Exchange and Borsa Italiana provide a broad and rich set of data from source, published in real time, enabling you to make decisions with confidence and run your business effectively.

Superior performance

Real Time Data provides greater price execution assurance for buyers and sellers of securities – users are as close to the book as possible and can be more confident of hitting the orders they intend when acting on data. Delivering data in a timely manner also leads to a greater level of market transparency.

In this age of microsecond performance and algorithmic trading, the London Stock Exchange Groups Real Time Data enables users to exploit the data to its full potential by disseminating it to customers instantaneously.

Market leading technology

Real Time Data feeds are built on next generation technology providing a scalable and flexible platform, and its multiple site configuration means it is fully resilient and always available.

Depth and knowledge

Real Time Data includes the complete depth of the order book, plus trade prices and sizes from the UK and Italy's primary price formation mechanisms. In addition to the core market data, we complement the broadcast with a range of added value information, including real-time indices from FTSE.

Flexible and easy-to-use data

The market data platform broadcasts several levels of data so you can choose whichever best suits your needs. All information is sent in easy-to-use message formats, and includes different international data identification codes to enable global trading.

Round-the-clock, dedicated support

Direct customers benefit from a dedicated account manager and round-the-clock technical support from our Service Delivery teams located in both London and Milan. We also offer comprehensive support to our customers including user-friendly documentation with clear guidance on how to get the most from the service.

The solution to your market data needs

The London Stock Exchange and Borsa Italiana broadcastseveral levels of data, including trade prices, sizes, and a fully visible, complete tick by tick order book. The different levels are designed to suit the needs of different users, whether actively trading on the markets or using the service to inform trading, investment or other business decisions.

Real time data is offered in three levels:

  • Off book
    Provides off book, on Exchange and OTC trade reports for both domestic and international stocks.
  • Level 1
    Offers real-time best prices, trade reporting data and a range of key added value information including enhanced best price, allowing users to understand more about the underlying market depth and liquidity of securities.
  • Level 2
    Our most comprehensive service providing the full depth of the market, tick by tick – essential for market professionals.

 

 

Off book

Level 1 / A1

Level 2 / A2-5

UK orders and quotes

   

x

On book trade reports

 

x

x

Best Prices and volumes

 

x

x

Time-weighted average spread

 

x

x

Opening price

 

x

x

Trade high and low

 

x

x

Mid-price high and low

 

x

x

Closing prices

 

x

x

Order book VWAP

 

x

x

All trades VWAP

 

x

x

Cumulative volumes

 

x

x

Value Traded

 

x

x

Uncrossing price and volume

 

x

x

Daily Official List prices

 

x

x

Off book trades

x

x

x

 

Level 1

The Level 1 service includes a range of key added-value information and other market data.

Opening price

Automatic Trade Based Opening Price: Contains the opening price for order-based securities based on automatic trade prices. Best Based Opening Price: Contains the opening price for quote-driven securities based on mid-prices.

Trade high and low

Contains the highest and the lowest trade price for a tradable instrument.

Mid price high and low

Contains the highest and the lowest mid-prices for a tradable instrument.

VWAP from Trades

A volume-weighted average price message based on volume traded at each price for order book trades.

All trades VWAP

Contains a cumulative Volume-Weighted Average Price (VWAP) for all publishable tradable instruments during the current day. The FIX/Fast feed currently distributes a VWAP message (5VW) for all automatic trades, whereas this message will perform calculations for all configured trade types. Cumulative Volumes The cumulative number and volume of automatic and manual trades for all instruments (exc. SETSqx).

Uncrossing Price and Volume

The indicative uncrossing price and corresponding uncrossing volume broadcast during auction calls and immediately following uncrossing.

Best Price and Volume

Contains volume and number of orders at best bid and best offer prices.

UK Orders and Quotes

Comprehensive quote and order details for all UK markets, maintained for over 3,500 tradeable instruments including equities, covered warrants, ADRs and the International Retail Service (IRS).

Italian Orders and Quotes

Comprehensive quote and order details for MTA and Expandi, ETF Plus, MOT and SeDeX.

International Orders

Comprehensive order details for the International Order Book (IOB).

Level 2

The Level 2 service also includes all existing Level 1 content, as well as full depth of the order book.